Bootstrap prediction and Bayesian prediction under misspecified models

Other literature type English OPEN
Fushiki, Tadayoshi;
  • Publisher: Bernoulli Society for Mathematical Statistics and Probability
  • Journal: issn: 1350-7265
  • Publisher copyright policies & self-archiving
  • Identifiers: doi: 10.3150/bj/1126126768
  • Subject: bagging | Bayesian prediction | Kullback-Leibler divergence | prediction | misspecification | bootstrap
    arxiv: Statistics::Computation | Statistics::Theory | Statistics::Methodology

We consider a statistical prediction problem under misspecified models. In a sense, Bayesian prediction is an optimal prediction method when an assumed model is true. Bootstrap prediction is obtained by applying Breiman's `bagging' method to a plug-in prediction. Bootst... View more
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